Traveline Cymru says train from Bristol to Cardiff, change there to T14 bus for Brecon via Merthyr Tydfil.
But Rome2Rio would route me by changing at Cardiff to another train to Merthyr and then the same Brecon bus from there.
I'm inclined to opt for the former because it requires only one change (and I shall have luggage), but I don't know how easy it is to get from Cardiff train staion to the "Philharmonic (stop JP)" in St Mayr's Street for the T14 bus. Would train station to bus station in Merthyr be easier?